Robert F. Stambaugh
Miller Anderson & Sherrerd Professor of Finance
Research Interests: asset pricing, investments, econometrics
Links: CV, Personal Website

Robert F. Stambaugh, Luke Taylor, Lubos Pastor (2015), Scale and Skill in Active Management, Journal of Financial Economics, 116, 23  45. Abstract Related Materials

Robert F. Stambaugh, Jianfeng Yu, Yu Yuan (2014), The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, Journal of Financial Economics, 114, 613  619. Abstract

Robert F. Stambaugh, Lubos Pastor, Lucian A. Taylor (Working), Do Funds Make More When They Trade More?. Abstract Related Materials

Robert F. Stambaugh (2014), Investment Noise and Trends, Journal of Finance, 69 (4), 1415  1453. Abstract

Robert F. Stambaugh, Jianfeng Yu, Yu Yuan (Forthcoming), Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. Related Materials

Lubos Pastor, Robert F. Stambaugh (2012), On the Size of the Active Management Industry, Journal of Political Economy

Robert F. Stambaugh, Jianfeng Yu, Yu Yuan (2012), The Short of It: Investor Sentiment and Anomalies, Journal of Financial Economics, 288302.

Lubos Pastor, Robert F. Stambaugh (2012), Are Stocks Really Less Volatile in the Long Run?, Journal of Finance, 431478.

Robert F. Stambaugh (2011), Inference About Survivors, Quarterly Journal of Finance, 423464.

Lubos Pastor, Robert F. Stambaugh (2009), Predictive Systems: Living with Imperfect Predictors, Journal of Finance, 15831628. Abstract

Christopher Geczy, Robert F. Stambaugh, David Levin (Working), Investing in Socially Responsible Mutual Funds. Abstract

Lubos Pastor, Robert F. Stambaugh (2003), Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 642685. Abstract Related Materials

Lubos Pastor, Robert F. Stambaugh (2002), Investing in Equity Mutual Funds, Journal of Financial Economics, 351380. Abstract

Lubos Pastor, Robert F. Stambaugh (2002), Mutual Fund Performance and Seemingly Unrelated Assets, Journal of Financial Economics, 315349. Abstract

Lubos Pastor, Robert F. Stambaugh (2001), The Equity Premium and Structural Breaks, Journal of Finance, 12071239. Abstract

Lubos Pastor, Robert F. Stambaugh (2000), Comparing Asset Pricing Models: An Investment Perspective, Journal of Financial Economics, 335381. Abstract

Robert F. Stambaugh (1999), Predictive Regressions, Journal of Financial Economics, 375421. Abstract

Lubos Pastor, Robert F. Stambaugh (1999), Costs of Equity Capital and Model Mispricing, Journal of Finance, 67121. Abstract

Robert F. Stambaugh (1997), Analyzing Investments Whose Histories Differ in Length, Journal of Financial Economics, 285331. Abstract

Shmuel Kandel, Robert F. Stambaugh (1996), On the Predictability of Stock Returns: An AssetAllocation Perspective, Journal of Finance, 385424. Abstract

Shmuel Kandel, Robert F. Stambaugh (1995), Portfolio Inefficiency and the CrossSection of Expected Returns, Journal of Finance, 157184. Abstract

Shmuel Kandel, Robert McCulloch, Robert F. Stambaugh (1995), Bayesian Inference and Portfolio Efficiency, Review of Financial Studies, 153. Abstract

Shmuel Kandel, Robert F. Stambaugh (1991), Asset Returns and Intertemporal Preferences, Journal of Monetary Economics, 3971. Abstract

Shmuel Kandel, Robert F. Stambaugh (1990), Expectations and Volatility of Consumption and Asset Returns, Review of Financial Studies, 207232. Abstract

NaiFu Chen, Bruce Grundy, Robert F. Stambaugh (1990), Changing Risk, Changing Risk Premiums, and Dividend Yield Effects, Journal of Business, S51S70. Abstract

Shmuel Kandel, Robert F. Stambaugh (1989), A MeanVariance Framework for Tests of Asset Pricing Models, Review of Financial Studies, 125156. Abstract

Robert F. Stambaugh (1988), The Information in Forward Rates: Implications for Models of the Term Structure, Journal of Financial Economics, 4170. Abstract

Kenneth R. French, G. William Schwert, Robert F. Stambaugh (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 329. Abstract

Wayne E. Ferson, Shmuel Kandel, Robert F. Stambaugh (1987), Tests of Asset Pricing with TimeVarying Expected Risk Premiums and Market Betas, Journal of Finance, 201220. Abstract

Gur Huberman, Shmuel Kandel, Robert F. Stambaugh (1987), Mimicking Portfolios and Exact Arbitrage Pricing, Journal of Finance, 19. Abstract

Shmuel Kandel, Robert F. Stambaugh (1987), On Correlations and Inferences about MeanVariance Efficiency, Journal of Financial Economics, 6190. Abstract

Donald B. Keim, Robert F. Stambaugh (1986), Predicting Returns in the Stock and Bond Markets, Journal of Financial Economics, 357390. Abstract

Donald B. Keim, Robert F. Stambaugh (1984), A Further Investigation of the Weekend Effect in Stock Returns, Journal of Finance, 819835. Abstract

Robert F. Stambaugh (1983), Arbitrage Pricing with Information, Journal of Financial Economics, 357369. Abstract

Marshall E. Blume, Robert F. Stambaugh (1983), Biases in Computed Returns: An Application to the Size Effect, Journal of Financial Economics, 387404. Abstract

Robert F. Stambaugh (1983), Testing the CAPM with Broader Market Indexes: A Problem of Mean Deficiency, Journal of Banking and Finance, 516. Abstract

Robert F. Stambaugh (1982), On the Exclusion of Assets from Tests of the TwoParameter Model: A Sensitivity Analysis, Journal of Financial Economics, 237268. Abstract

Henri Theil, Robert F. Stambaugh (1977), Inequality and Social Status in Successive Generations, European Economic Review, 125139. Abstract